A note on estimation for gamma and stable processes

DOI10.1093/biomet/67.1.234zbMath0425.62067OpenAlexW2084940504MaRDI QIDQ3860695

Peter J. Brockwell, Ishwar V. Basawa

Publication date: 1980

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/67.1.234

zbMATH Keywords

additive processstable processesmaximum likelihood estimatorsgamma process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (10)

On tail parameter estimation in certain point process models ⋮ Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ Vine constructions of Lévy copulas ⋮ Asymptotic inference for stochastic processes ⋮ Nonparametric inference for discretely sampled Lévy processes ⋮ Inference on the Lévy measure in case of noisy observations ⋮ TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS ⋮ Parametric estimation of a bivariate stable Lévy process ⋮ Lévy copulae for financial returns ⋮ Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling

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